(1) The example is not reproducible since we don't have "psi" or know
what it is.
(2) The package is called "elliptic" *NOT* "Elliptic". The R language
(unlike Micro$oft crap) is case sensitive.
(3) The code was given in a chaotic manner, making it impossible to copy
and paste it into an R console.
(4) That being said, it's pretty obvious what's going on. ***Look at
the code*** for "myintegrate()". It uses "x" as the dummy variable for
the function "f(x,...)" that is its first argument. If you use "x" as
the name of one of the "..." arguments you wind up getting a call of
the form "f(x,x=0.1,psi_measure=psi)" --- no wonder the poor damned
thing gets confused and gets it wrong.
Try:
melvin <- function(x,...){x^2}
melvin(2)
melvin(2,x=5)
and you'll see the sort of thing that happens.
cheers,
Rolf Turner
--
Rolf Turner
Technical Editor ANZJS
On 10/10/14 03:30, Luis Felipe Parra wrote:
Hello,
I was using my integrate today and spend a couple of hours trying to figure
out why I was getting some weird results in my code when using myintegrate
function to do complex integration, after some time decided just to change
the name of the integration dummy variable in the code from 'x' to 'y' and
the code worked perfectly, here is the outpus of what I was using:
#Find the CDF to find the call prices
CDF_Merton = function(y,psi_measure){
+ integrand_cdf = function(u_vec,y,psi_measure)
Im(exp(-1i*u_vec*y)*psi_measure(u_vec))/u_vec
+ return(1/2 -
1/pi*Re(myintegrate(integrand_cdf,0,100,y=y,psi_measure=psi_measure)))
+ }
CDF_Merton(y=0.1,psi_measure=psi)
[1] 0.9368239
CDF_Merton = function(x,psi_measure){
+ integrand_cdf = function(u_vec,x,psi_measure)
Im(exp(-1i*u_vec*x)*psi_measure(u_vec))/u_vec
+ return(1/2 -
1/pi*Re(myintegrate(integrand_cdf,0,100,x=x,psi_measure=psi_measure)))
+ }
CDF_Merton(x=0.1,psi_measure=psi)
[1] 59.03344
where you can see that both codes are exactly the same except for the dummy
variable used to integrate, does any body know what might be going on here?
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